Recent experiments in our group on the excitation of Rydberg molecules in ultracold quantum gases have been reviewed. Quantum gases are a well‐suited environment to excite Rydberg molecules, due to the high atomic density and the perfect control of the internal spin degrees of freedom and the center of mass motion of the atoms. In parallel, the coupling to Rydberg molecules can be used to probe and manipulate the interaction in ultracold quantum gases. In this Feature Article, a comprehensive introduction to the field of Rydberg molecules, including ultralong‐range molecules and butterfly molecules is given. The Rydberg molecules have been characterized spectroscopically and their internal spin structure is discussed. Then, it is shown how these Rydberg molecules work as a tool to monitor the double occupancy in optical lattice experiments and to change the inter‐particle interaction with the help of a so‐called optical Feshbach resonance.